Does Blender support threading for data processing?
First of all, Cycles render is an additional application with its own kernel, written in c/c++. It is ''glued'' to Blender by several Python scripts, well I think so.

Secondly, you can use Python modules like threading and multiprocessing to process data simultaneously. They are built-ins in Python interpreter, so there shouldn't be any problems if you'll decide to distribute your script.